Short volatility strategies shine
LONDON - Currency managers going short volatility continue to be the only winners of the high-volatility environment so far this year, research by Royal Bank of Scotland indicates.
According to the bank's naive simulations of currency strategies, short volatility benefited from a significant rise to premiums in all currencies at the start of the month as a result of implied volatility levels. This was more than sufficient to offset the losses at month-end resulting from the movements in yen and
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